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A Switching Model with Flexible Threshold Variable : With an Application to Nonlinear Dynamics in Stock Returns
Massacci, Daniele - 2017
This paper proposes an extension to threshold-type switching models that lets the threshold variable be a linear combination of exogenous variables with unknown coefficients. An algorithm to estimate the model's parameters by least squares is provided and the validity of the methodological...
Persistent link: https://www.econbiz.de/10012974826
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Intermittency, long-memory and financial returns
Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S. - In: Long memory in economics : with 50 tables, (pp. 39-68). 2006
Persistent link: https://www.econbiz.de/10003375590
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas (contributor) - 2006
-switching multifractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and Bayesian …
Persistent link: https://www.econbiz.de/10003392192
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A Markov-switching multifractal approach to forecasting realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10009314521
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The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas (contributor) - 2004 - [Elektronische Ressource],rev
-switching multi-fractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and …
Persistent link: https://www.econbiz.de/10002468813
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The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting
Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781206
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Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"
Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781208
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Is the German stock market chaotic? : Some NEGM- and BDS-test results for the DAX
Moritz, Oliver - 2001
Persistent link: https://www.econbiz.de/10001639806
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Quantitative and empirical analysis of nonlinear dynamic macromodels
Chiarella, Carl; Franke, Reiner; Flaschel, Peter; … - 2006
Introduction / Carl Chiarella, Peter Flaschel, Reiner Franke, Willi Semmler -- New Keynesian theory and the new … Phillips curves : a competing approach / Peter Flaschel, Ekkehart Schlicht -- Keynesian theory and the AD-AS framework : a … stability : basic structural form, estimation and analysis / Peter Flaschel, Hans-Martin Krolzig -- Prosperity and stagnation in …
Persistent link: https://www.econbiz.de/10012049631